CFA考试《CFA二级》历年真题精选及详细解析1007-13

CFA考试《CFA二级》历年真题精选及详细

解析1007-13

1、Under the option analogy of the structural model, owning a company's debt is economically equivalent to owning a riskless bond and simultaneously:【单选题】

A.buying an American put option on the assets of the company. B.selling a European put option on the assets of the company. C.buying a European put option on the assets of the company. 正确答案:B

答案解析:Under the structural model\\\\\\\\'s debt option analogy, owning a company\\\\\\\\'s debt is economically equivalent to owning a riskless bond that pays K dollars at time T, plus simultaneously selling a European put option on the assets of the company with maturity T and strike price K.

2、Based on the given Z-spreads for Bonds 1, 2, and 3, which bond has the greatest credit and liquidity risk?【单选题】 A.Bond 1 B.Bond 2 C.Bond 3

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正确答案:C

答案解析:C is correct. Although swap spreads provide a convenient way to measure risk, a more accurate measure of credit and liquidity risk is called the zero-spread (Z-spread). It is the constant spread that, added to the implied spot yield curve, makes the discounted cash flows of a bond equal to its current market price. Bonds 1, 2, and 3 are otherwise similar but have Z-spreads of 0.55%, 1.52%, and 1.76%, respectively. Bond 3 has the highest Z-spread, implying that this bond has the greatest credit and liquidity risk.

3、Is Madison correct in describing key differences in equilibrium and arbitrage-free models as they relate to the number of parameters and model accuracy?【单选题】 A.Yes.

B.No, she is incorrect about which type of model requires fewer parameter estimates.

C.No, she is incorrect about which type of model is more precise at modeling market yield curves. 正确答案:A

答案解析:A is correct. Consistent with Madison’s statement, equilibrium term structure models require fewer parameters to be estimated relative to arbitrage-free models, and

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arbitrage-free models allow for time-varying parameters. Consequently, arbitrage-free models can model the market yield curve more precisely than equilibrium models.

4、Tyo’s assistant should calculate a forward rate closest to:【单选题】 A.9.07%. B.9.58%. C.9.97%. 正确答案:A

答案解析:A is correct. From the forward rate model, f(3,2), is found as follows:[1 + r(5)]5 = [1 + r(3)]3[1 + f(3,2)]2Using the three-year and five-year spot rates, we find(1 + 0.107)5 = (1 + 0.118)3[1 + f(3,2)]2, so

5、Based on Exhibit 1, the best action that an investor should take to profit from the arbitrage opportunity is to:【单选题】 A.buy on Frankfurt, sell on Eurex. B.buy on NYSE Euronext, sell on Eurex. C.buy on Frankfurt, sell on NYSE Euronext. 正确答案:A

答案解析:A is correct. This is the same bond being sold at three different prices so an arbitrage opportunity exists by buying the bond from the exchange where it is priced lowest and

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